Statistics Of future trading

Discussion in 'Trading' started by Liquidips, Feb 12, 2017.

  1. Liquidips

    Liquidips

    Last edited by a moderator: Feb 12, 2017
  2. Handle123

    Handle123

    Am sure someone keeps those stats, but I don't ever recall seeing them ever for currency futures, usually it is entire Futures trading. There is less volume since forex started, so on less traded instruments spreads will be greater. I generally trade them very long term but do day trade the heavier five.
     
  3. comagnum

    comagnum

  4. xandman

    xandman

    Those average numbers look incredibly good.

    Can someone show me the maths on how those average numbers would improve the total portfolio Sharpe when combined with the typical equities portfolio.

    It is not simply weighted averaging if you factor in correlation.
     
  5. Think about which products the majority of stat-arb funds trade, and why.
     
  6. Liquidips

    Liquidips

    Thanks comangum will check out the bak index, What products do the majority of stat Arb trade
     
    Last edited: Feb 13, 2017
  7. Generally whatever has the cheapest transaction costs, by spread and fees - making CFDs, and bucket shop forex pretty much the worst choice.